Nicholas Pratt
Nicholas Pratt

Slicing and dicing - utlising new algo toolsets for increased precision with FX order execution

Now that slicing and dicing algorithms have become a common feature of the FX marketplace, Nicholas Pratt examines how traders are using the latest algorithmic tool-sets for increased precision with FX order execution.

First Published: e-Forex Magazine 45 / Algorithmic FX Trading / October, 2011

The use of algorithms in the FX world has clearly moved beyond the standard time-weighted average price (TWAP) format where large orders are uniformly divided and executed at regular intervals during the day. Not only has the technology become more sophisticated and able to call on more intelligence, the ambitions and requirements of the market’s participants have also advanced.  The leading FX algorithm providers have consequently concentrated on providing customised and tailored offerings that are able to meet the specific needs of traders. More intelligent algorithms can be configured to provide users with more flexible management and monitoring of orders during the execution process; market impact and information leakage can be minimised through greater randomisation; algorithms and execution engines can be conjoined to create more sophisticated FX order management tools; and the development of benchmarks and transaction cost analysis can influence the future creation of FX execution...continued

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